Regarding straw or hay; frankly, neither is a very good option. They will eat hay, and the long strands can become impacted in their crop. I actually lost one to this, and there are many folks on BYC who have actually done their own crop surgeries and removed large balls of hay. Straw, they are not as likely to ingest; however, the shafts of straw are hollow, and mites/lice tend to hide in them. Many folks do use both straw and/or hay without issue, but I just wanted to call attention to possible downfalls to both.
I personally use pine shavings; they are extremely absorbent, and the #1 advice I give to folks is to keep the coop dry. Moist/damp coops are a main cause of respiratory illness. Some folks really like the pelleted pine bedding; I use that for my horses, but prefer not to use for my chickens because I like themto be able to snuggle down into the bedding. But, the pelleted bedding is most definitely very absorbent, so also an excellent choice.
Glad to see you here, and hope to see you posting often!